A model-free no-arbitrage price bound for variance options
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Cites work
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- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- Exponential convergence for a convexifying equation
- Hedging variance options on continuous semimartingales
- Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
- Optimal transportation under controlled stochastic dynamics
- Robust hedging of the lookback option
- Root's barrier: construction, optimality and applications to variance options
- The Existence of Certain Stopping Times on Brownian Motion
- The Existence of Probability Measures with Given Marginals
- The Skorokhod embedding problem and model-independent bounds for option prices
- The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients
- Weak dynamic programming principle for viscosity solutions
- Wellposedness of second order backward SDEs
Cited in
(21)- The maximum maximum of a martingale with given \(n\) marginals
- Model-independent bounds for option prices -- a mass transport approach
- Arbitrage-free market models for option prices: the multi-strike case
- Optimal transportation under controlled stochastic dynamics
- An arbitrage-free approach to quasi-option value
- scientific article; zbMATH DE number 6444283 (Why is no real title available?)
- Computational methods for martingale optimal transport problems
- Optimal Skorokhod embedding under finitely many marginal constraints
- On the monotonicity principle of optimal Skorokhod embedding problem
- Perturbation analysis of sub/super hedging problems
- Is the minimum value of an option on variance generated by local volatility?
- Peacock geodesics in Wasserstein space
- Distribution-constrained optimal stopping
- A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
- Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
- No-arbitrage bounds for the forward smile given marginals
- Arbitrage bounds for prices of weighted variance swaps
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
- The weighted variance minimization for options pricing
- A Benamou-Brenier formulation of martingale optimal transport
- Topological properties of convex order in Wasserstein metric spaces
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